AB Multi-Manager Alternative Fund

Consolidated Portfolio of Investments

June 30, 2026 (unaudited)

 

Underlying Portfolios		Acquisition Date				Shares				Cost				Fair Value ($)				% Net Assets				Liquidity*
Multi-Strategy
Aleutian Fund, Ltd.			04/01/2025				42,700				42,700,000			$	57,715,230				4.9	%			Monthly
Atlas Enhanced Fund, Ltd.			02/01/2023				39,349				42,436,839				57,797,211				4.9				Quarterly
Elliott International Limited			04/01/2016				41,391				58,435,619				105,903,915				9.0				Quarterly
Millennium International, Ltd.			01/03/2022				29,219				52,037,081				77,737,788				6.6				Quarterly
Point72 Capital International, Ltd.			01/03/2022				452,584				66,663,745				121,201,081				10.3				Quarterly
Whitebox Multi-Strategy Fund, Ltd.			01/01/2025				20,000				20,000,000				22,861,703				2.0				Quarterly
Total															443,216,928				37.7
Long/Short Equity
Anomaly Capital International, Ltd.			01/01/2024				34,577				35,670,096				41,787,071				3.6				Quarterly
Janchor Partners Pan-Asian Fund			02/01/2016				13,564				988,836				748,735				0.1				Triennially At Fund’s
Nokota LC, LLC(a)			04/01/2019				1,118				970,958				135,805				0.0				Discretion At Fund’s
PFM Healthcare Offshore Fund, Ltd.			01/01/2018				322				221,586				3,505				0.0				Discretion
SurgoCap Offshore Fund LP			11/01/2024				35,886				37,000,000				50,898,971				4.3				Quarterly
TCIM Offshore Fund, Ltd.			07/03/2023				32,638				32,692,150				45,070,467				3.8				Monthly
The Children’s Investment Fund			03/01/2017				62,376				6,237,647				23,772,920				2.0				Biennial
Think Investments Offshore Ltd.			01/01/2014				8,882				7,075,485				49,056,406				4.2				Semi-Annual
Viking Global Equities III, Ltd.			12/01/2023				33,799				35,267,417				41,688,057				3.5				Annual
Wolf Hill Offshore Fund, Ltd.			01/01/2024				16,578				16,958,442				18,580,886				1.6				Quarterly
Total															271,742,823				23.1
Credit/Distressed
Chepstow Credit Opportunities Fund			08/01/2025				30,644				31,000,000				32,561,735				2.8				Quarterly
Claren Road Credit Fund, Ltd.			05/01/2025				5,000				5,000,000				4,998,530				0.4				Quarterly
Cross Ocean GSS Offshore Feeder LP			08/01/2023				44,054				45,901,985				60,191,243				5.1				Quarterly
FourSixThree Overseas Fund, Ltd.			12/01/2025				41,434				44,000,000				45,485,171				3.9				Quarterly At Fund’s
King Street Capital, Ltd.			10/01/2012				11,087				902,944				1,270,913				0.1				Discretion
Primas Global Credit Fund			08/01/2024				46,085				45,878,144				44,772,306				3.8				Monthly
Theorem Prime+ Yield Fund Offshore LP			06/01/2022				2,290				2,289,702				2,110,151				0.2				Quarterly
Total															191,390,049				16.3
Global Macro
Alphadyne Global Rates Fund II, Ltd.			07/01/2024				23,690				33,400,000				36,285,829				3.1				Monthly
Caxton Macro, Ltd.			06/02/2025				8,782				29,000,000				26,844,119				2.3				Quarterly
Kirkoswald Global Macro Fund, Ltd.			05/01/2026				450,000				45,000,000				46,037,437				3.9				Quarterly
Rokos Global Macro Fund, Ltd.			03/03/2025				81,155				20,209,392				25,486,431				2.2				Monthly
The Tudor BVI Global Fund, Ltd.			01/01/2019				202				31,709,539				51,708,842				4.4				Quarterly
Total															186,362,658				15.9
Event Driven
Antara Capital Offshore Fund, Ltd.			09/01/2021				17,680				24,536,115				4,991,954				0.4				Quarterly
Astaris Special Situations Feeder Fund, Ltd.			07/01/2024				203,937				41,093,345				48,013,091				4.1				Quarterly
Lion Point International, Ltd.			04/01/2015				2,024				1,538,891				9,857,873				0.9				Semi-Annual At Fund’s
Luxor Capital Partners Offshore Liquidating SPV, Ltd.			10/01/2012				2,317				2,326,227				2,636,145				0.2				Discretion
Trium Khartes Fund, Ltd.			07/01/2024				305,227				32,000,000				36,858,884				3.1				Monthly
Total															102,357,947				8.7
Total Underlying Portfolios (cost $891,142,185)															1,195,070,405				101.7
Participation Notes
Event Driven
Antara Capital Offshore Fund, Ltd.(a)			03/31/2024								2,286,926				1,543,360				0.2
Antara Capital Offshore Fund, Ltd.(a)			06/30/2024								2,027,294				1,526,441				0.1
Antara Capital Offshore Fund, Ltd.(a)			09/30/2024								2,209,468				1,514,790				0.1
Total Participation Notes (cost $6,523,687)															4,584,591				0.4

 

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Company						Shares								Fair Value ($)				% Net Assets
Common Stocks
Health Care
Biotechnology
Contra Chinook Therapeutics (CVR)(a) (b)							31,520							$	22,064				0.0	%
Euronav NV(a) (b)							37,922								379				0.0
Total Common Stocks (cost $0)														$	22,443				0.0	%
Total Investments (cost $897,665,872)(c)															1,199,677,439				102.1
Other assets less liabilities															(24,233,007	)			(2.1	)
Net Assets														$	1,175,444,432				100.0	%

TOTAL RETURN SWAPS

 

Counterparty & Referenced Obligation

Rate Paid/ Received

Payment Frequency

Current Notional (000)

Maturity Date

Unrealized Appreciation (Depreciation)

Receive Total Return on Reference Obligation

Goldman Sachs International

Resolute Forest Products

SOFR plus 0.35%

Maturity

USD

32

07/15/2027

$

45,155

Merrill Lynch International

MLABHPLO(1)

SOFR plus 0.88%

Maturity

USD

157

07/31/2026

(927

)

Morgan Stanley Capital Services LLC

ABIOMED, Inc.

EFFR plus 0.38%

Maturity

USD

8

10/20/2026

21,171

$

65,399

 

(a)	Security in which significant unobservable inputs (Level 3) were used in determining fair value.

(b)	Non-income producing security.

(c)

As of June 30, 2026 the cost basis of investment securities owned was substantially identical for both book and tax purposes. Gross unrealized appreciation of investments was $328,297,224 and gross unrealized depreciation of investments was $(26,220,258), resulting in net unrealized appreciation of $302,076,966.

 

*	The investment strategies and liquidity of the Underlying Portfolios in which the Fund invests are as follows:

Multi-Strategy - Underlying Portfolios invest across multiple strategies, including long/short equity, event driven, global macro, credit/distressed and emerging markets, in which the investment process is predicated on movements in underlying economic variables and the impact these variables have on equity, fixed income, currency, commodity and other financial instrument markets. Underlying Portfolios within this strategy are generally subject to 45 – 90 day redemption notice periods. Certain Underlying Portfolios may have lock up periods of two years.

Global Macro - Underlying Portfolios aim to identify and exploit imbalances in global economics and asset classes, typically utilizing macroeconomic and technical market factors rather than “bottom-up” individual security analysis. The Underlying Portfolios within this strategy are subject to 30 – 90 day redemption notice periods. Certain Underlying Portfolios have lock up periods of up to one year.

Long/Short Equity - Underlying Portfolios seek to buy securities with the expectation that they will increase in value (“going long”) and sell securities short in the expectation that they will decrease in value (“going short”). Underlying Portfolios within this strategy are generally subject to 30 – 120 day redemption notice periods. The majority of the Underlying Portfolios are no longer subject to initial lockups. Certain Underlying Portfolios have lock up periods of up to three years.

Credit/Distressed - Underlying Portfolios invest in a variety of fixed income and other securities, including bonds (corporate and government), bank debt, asset-backed financial instruments, mortgage-backed securities and mezzanine and distressed securities, as well as securities of distressed companies and high yield securities. Underlying Portfolios within this strategy are generally subject to 30 – 90 day redemption notice periods. The majority of the Underlying Portfolios are no longer subject to initial lockups. Certain Underlying Portfolios have lock up periods of up to one year.

 

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Event Driven - Underlying Portfolios seek to take advantage of information inefficiencies resulting from a particular corporate event, such as a takeover, liquidation, bankruptcy, tender offer, buyback, spin off, exchange offer, merger or other type of corporate reorganization. Underlying Portfolios within this strategy are generally subject to 60 – 90 day redemption notice periods. The majority of the Underlying Portfolios are no longer subject to initial lockups. Certain Underlying Portfolios have lock up periods of up to 18 months.

The Fund may also make direct investments in securities (other than securities of Underlying Portfolios), options, futures, options on futures, swap contracts, or other derivative or financial instruments.

Glossary:

CVR – Contingent Value Rights

EFFR – Effective Federal Funds Rate

SOFR – Secured Overnight Financing Rate

(1) The following table represents the equity basket holdings underlying the total return swap with MLABHPLO as of June 30, 2026.

 

Security Description		Shares					Current Notional					Percent of Basket’s Value
General Electric Co.				17,697				USD	6,614,015					14.8	%
Safran SA				14,842					5,854,359					13.1	%
Visa, Inc.				13,371					4,587,461					10.3	%
Airbus SE				19,685					4,378,198					9.8	%
Vinci SA				22,084					3,226,725					7.2	%
Vinci SA				22,084					3,226,725					7.2	%
Moody’s Corp.				6,912					3,130,566					7.0	%
S&P Global, Inc.				7,286					2,806,749					6.3	%
Ferrovial NV				37,577					2,576,862					5.8	%
Alphabet, Inc.				5,674					2,004,857					4.5	%
Canadian Pacific Kansas City				20,932					1,813,783					4.1	%
Deutsche Boerse AG				5,344					1,458,935					3.3	%
Aena SME SA				35,755					1,089,838					2.4	%
Cellnex Telecom SA				28,221					843,722					1.9	%
Canadian National Railway Co.				4,463					532,463					1.2	%
SAP SE				2,362					361,804					0.8	%
Mobility Global, Inc.				5,482					120,876					0.3	%

 

3

AB Multi-Manager Alternative Fund

June 30, 2026 (unaudited)

U.S. GAAP establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability (including those valued based on their market values). Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Fund’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.

 

•

Level 1 - quoted prices in active markets for identical investments

•

Level 2 - other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)

•

Level 3 - significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)

The fair value of debt instruments, such as bonds, and over-the-counter derivatives is generally based on market price quotations, recently executed market transactions (where observable) or industry recognized modeling techniques and are generally classified as Level 2. Pricing vendor inputs to Level 2 valuations may include quoted prices for similar investments in active markets, interest rate curves, coupon rates, currency rates, yield curves, option adjusted spreads, default rates, credit spreads and other unique security features in order to estimate the relevant cash flows which is then discounted to calculate fair values. If these inputs are unobservable and significant to the fair value, these investments will be classified as Level 3.

Where readily available market prices or relevant bid prices are not available for certain equity investments, such investments may be valued based on similar publicly traded investments, movements in relevant indices since last available prices or based upon underlying company fundamentals and comparable company data (such as multiples to earnings or other multiples to equity). Where an investment is valued using an observable input, by pricing vendors, such as another publicly traded security, the investment will be classified as Level 2. If management determines that an adjustment is appropriate based on restrictions on resale, illiquidity or uncertainty, and such adjustment is a significant component of the valuation, the investment will be classified as Level 3. An investment will also be classified as Level 3 where management uses company fundamentals and other significant inputs to determine the valuation.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to the issuance of the report are not reflected herein.

The following table summarizes the valuation of the Fund’s investments by the above fair value hierarchy levels as of June 30, 2026:

 

Investments in Securities:		Level 1				Level 2				Level 3				Total
Assets:
Underlying Portfolios		$	—			$	—			$	135,805			$	135,805
Participation Notes			—				—				4,584,591				4,584,591
Common Stocks			—				—				22,443				22,443
Investments valued at NAV			—				—				—				1,194,934,600
Total Investments in Securities			—				—				4,742,839				1,199,677,439
Other Financial Instruments(a):
Assets:
Total Return Swaps			—				66,326				—				66,326
Liabilities:
Total Return Swaps			—				(927	)			—				(927	)
Total		$	—			$	65,399			$	4,742,839			$	1,199,742,838

 

(a)

Other financial instruments include derivative instruments, such as futures, forwards and swaps. Derivative instruments are valued at the unrealized appreciation (depreciation) on the instrument. Other financial instruments may also include swaps with upfront premiums, written options and written swaptions which are valued at market value.

 

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